Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Characteristics

Characteristic Latest Prior Month Two Months Ago
Rank (1 is Worst, 10 is Best) 3 4 2
Score -4.5 -2.52 -5.72
Market Cap (Millions USD) NA NA NA
Predicted Beta 0.68 0.7 0.7
Idiosyncratic Volatility 1.75 2.25 2.17

Annualized return and volatility

UBVLX
Annualized Return 0.1045
Annualized Std Dev 0.2315
Annualized Sharpe (Rf=0%) 0.4514

Row

Daily Return Statistics

UBVLX
Observations 5112.0000
NAs 2.0000
Minimum -0.1296
Quartile 1 -0.0063
Median 0.0007
Arithmetic Mean 0.0005
Geometric Mean 0.0004
Quartile 3 0.0075
Maximum 0.1069
SE Mean 0.0002
LCL Mean (0.95) 0.0001
UCL Mean (0.95) 0.0009
Variance 0.0002
Stdev 0.0146
Skewness -0.1580
Kurtosis 8.2712

Downside Risk

UBVLX
Semi Deviation 0.0105
Gain Deviation 0.0104
Loss Deviation 0.0112
Downside Deviation (MAR=210%) 0.0149
Downside Deviation (Rf=0%) 0.0102
Downside Deviation (0%) 0.0102
Maximum Drawdown 0.6724
Historical VaR (95%) -0.0214
Historical ES (95%) -0.0341
Modified VaR (95%) -0.0217
Modified ES (95%) -0.0359
From Trough To Depth Length To Trough Recovery
2007-06-05 2009-03-09 2011-02-14 -0.6724 950 455 495
2002-04-17 2002-10-09 2003-07-09 -0.3946 317 125 192
2011-04-07 2011-10-03 2012-02-01 -0.3181 210 126 84
2018-08-30 2018-12-24 NA -0.2617 339 82 NA
2001-06-06 2001-09-21 2002-03-12 -0.2413 193 74 119

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec UBVLX
1999 NA NA NA NA NA NA NA NA NA NA NA NA NA
2000 0.4 0.1 0.0 1.6 1.3 0.0 0.4 1.1 0.0 -1.0 1.6 0.0 5.6
2001 0.1 -0.4 0.0 1.1 0.1 0.0 -0.1 0.0 -2.3 0.9 0.0 0.0 -0.7
2002 -0.7 1.6 -0.4 0.3 0.0 -2.7 -0.4 0.0 2.1 2.6 0.0 0.0 2.1
2003 0.0 0.0 1.1 0.4 0.0 0.7 -1.7 0.0 2.9 0.0 1.4 0.0 4.9
2004 0.0 0.6 0.7 0.0 0.9 -2.2 0.0 0.6 1.9 0.2 1.6 0.0 4.4
2005 0.8 0.9 -0.5 0.0 1.0 0.4 1.0 0.1 0.0 -0.4 2.2 0.0 5.5
2006 0.7 1.7 0.0 -0.4 1.7 0.0 -1.3 0.2 0.0 -1.2 -0.5 0.0 0.7
2007 0.8 -0.2 0.0 0.6 0.7 0.0 -0.2 0.0 2.0 -4.0 0.0 0.0 -0.4
2008 1.7 0.0 3.2 1.9 0.0 0.3 1.0 0.0 0.8 0.0 -13.0 0.0 -4.8
2009 0.0 0.0 2.1 0.1 4.1 1.9 0.0 -2.6 -2.9 0.0 1.5 0.0 4.1
2010 1.0 1.7 0.8 0.0 -3.2 -0.8 0.0 3.6 0.3 -0.5 1.9 0.0 4.9
2011 2.9 -1.4 0.6 0.0 -2.7 1.8 -0.5 -2.7 0.0 -3.9 -0.7 0.0 -6.8
2012 2.6 0.5 0.0 0.1 -3.1 0.0 -2.0 0.0 0.2 2.0 0.0 0.0 0.2
2013 0.0 -0.2 -1.1 -1.8 0.0 1.0 1.1 0.0 0.9 -0.1 0.0 0.0 -0.1
2014 0.0 0.0 0.9 -0.2 0.0 1.2 -0.4 0.0 -0.9 0.0 -1.3 0.0 -0.7
2015 0.0 0.0 0.1 0.7 0.0 0.4 0.0 -2.8 0.1 0.0 0.4 0.0 -1.1
2016 -0.5 1.9 0.1 0.0 0.5 0.4 -0.2 0.0 0.0 -0.9 -0.1 0.0 1.2
2017 -0.3 1.3 0.0 0.2 1.9 0.0 0.2 0.7 0.0 -0.1 -0.3 0.0 3.7
2018 0.2 -0.4 0.0 -0.3 0.6 0.0 -0.5 0.0 -0.8 1.9 0.0 0.0 0.7
2019 0.9 0.5 2.0 -1.1 0.0 0.3 -2.9 0.0 -2.3 2.2 0.0 -0.1 -0.6

Row

Rolling Performance Chart

Snail Trail Chart